Manage EUR/USD cross-currency risk with a single futures contract

Trade the 3-month IMM dated EUR/USD cross-currency basis with a single futures contract that is cash settled at the beginning of the reference period to the CME EUR/USD Cross-Currency Basis Index (XEURBI).

This index accurately tracks the nearby quarterly-IMM dated basis and is calculated from simultaneously observed prices in our SOFR, ESTR and EUR/USD futures prices.

Features and benefits

Streamlined exposure

Utilize a single contract, ideal for when principal exchange is not needed or is undesirable.

Monitor systematic market stress

Monitor and manage exposure to market risk in short-dated cross-currency markets.

Price discovery in a transparent market

Go beyond OTC markets with a cleared, efficient trading solution.

New trading opportunities

Express risk or hedge against traditional deliverable cross-currency instruments.

Tool

Cross-Currency Basis Watch

Evaluate the magnitude of the EUR/USD cross-currency basis for short-dated and forward-starting IMM periods. Use the tool to compare the Forward FX swap price with the theoretical price implied by interest rate differentials observed from listed futures.

Vendor codes

CME Group Name/Venues/Symbols CME Group Codes Bloomberg CQG DTN, Inc Fidessa (ION) FIS Global ION Group Itiviti Refinitiv Trading Technologies Vela Trading Systems
CME Group Product Name  Futures/Options  Globex Clearport All Venues All Venues All Venues All Venues All Venues All Venues All Venues Composite All Venues All Venues
EUR/USD Cross-Currency Basis Futures Futures XEU XEU XEEA Curncy - @XEU XEU XEU XEU XEU UEX XEU XEU

Trade Cross-Currency Basis futures on CME Direct

A fast, secure and highly configurable trading front end, CME Direct offers a one-stop shop for accessing Cross-Currency Basis futures liquidity across CLOB trading, RFQs and block negotiation/reporting workflows. Not on CME Direct? Get started.

Download the Cross-Currency Basis futures trading grid

 
  1. Right click on the link and select "Save link as...".
  2. Save the file as an .XML on your computer.
  3. In CME Direct, select import view in the main menu.
  4. Import the grid into CME Direct.
  5. Under Menu, click on Save Window Layout.

Explore Cross-Currency Basis futures

Connect with a member of our expert Interest Rate team to get more information about our products, find a broker or to contact a market maker.

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